Loss Rates for Lévy Processes with Two Reflecting Barriers
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Publication:5388032
DOI10.1287/moor.1060.0226zbMath1341.60036MaRDI QIDQ5388032
Mats Pihlsgård, Soren Asmussen
Publication date: 27 May 2008
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/70ea4c6813520ca177035624b3543ed24ce6d9ba
asymptotics; reflection; Skorokhod problem; martingale; local time; Lévy process; light tail; Cramér-Lundberg approximation; loss rate; Lundberg equation; Markov-modulated Lévy process
60G51: Processes with independent increments; Lévy processes
60K25: Queueing theory (aspects of probability theory)
60K10: Applications of renewal theory (reliability, demand theory, etc.)
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